| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 102 === The purpose of this paper is to examine the persistence of performance for 8 kinds of mutual funds styles over 1998 to 2011. We use four models which have CAPM, Fama &; French three-factor model, Carhart four-factor model and Pástor &; Stambaugh five-factor model to measure performance. Also, we separate the sample into two portions of the Pre- Crisis and the Post- Crisis period to compare. Then, we utilize the nonparametric methodology Cross-product ratio to examine the persistence of performance. Our tests find that the performances of mutual funds indeed are dependent upon styles and the shock of financial crisis. Only Sector Funds and Income Funds almost indicate remarkable performance at Post-Crisis period. Furthermore, we suggest that only Large Cap Funds exhibit remarkable performance persistence in the long run, most of them merely exist for short-term. Also, only Sector Funds show positive persistence during crisis.
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